This volume provides an introduction to stochastic differential equations with jumps, in both theory and application. The book is accessible and contains many new results on numerical methods but also innovative methodologies in quantitative finance.
This volume provides an introduction to stochastic differential equations with jumps, in both theory and application. The book is accessible and conta...
This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics. It pays special attention to the relations between SDEs/BSDEs and second order PDEs under minimal regularity assumptions, and also extends those results to equations with multivalued coefficients. The authors present in particular the theory of reflected SDEs in the above mentioned framework and include exercises at the end of each...
This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections...
This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems.First we consider completely observable control problems with finite horizons.
This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to...
